CBOE Volatility Index

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How volatility evolves over time

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{name} Model Equation

How returns affect tomorrow's volatility

How returns affect tomorrow's illiquidity

Spline Coefficients

Value at Risk (VaR) estimates the maximum loss at a given confidence level. Expected Shortfall (ES) estimates the average loss beyond VaR.

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Param	Value	t-stat
ωconst	0.0148	6.41***
αARCH	0.0453	7.67***
βGARCH	0.9398	150.97***
γleverage	0.2592	4.35***
δpower	1.7021	6.68***

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.0148	6.41***
α ARCH Response to squared shocks	0.0453	7.67***
β GARCH Volatility persistence	0.9398	150.97***
γ leverage Additional response to negative shocks	0.2592	4.35***
δ power Transformation power	1.7021	6.68***

V-Lab

S&P GSCI Livestock Spot Index APARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other S&P GSCI Livestock Spot Index Analyses